sim.urarima function

Generate Unit-root ARIMA Possibly Seasonal Time Series

Generate Unit-root ARIMA, possibly, seasonal time series.

sim.urarima(
  T = 300,
  ar = c(0.5),
  ma = c(-0.5),
  d = 1,
  sar = NULL,
  sma = NULL,
  D = 0,
  period = 12,
  ini = 200,
  df = 50
)

Arguments

• T: Number of observations.
• ar: Vector with the autoregressive coefficients. Default value is 0.5.
• ma: Vector with the moving average coefficients. Default value is -0.5.
• d: Order of first-differencing. Default value is 1.
• sar: Seasonal autoregressive coefficients. Default is NULL.
• sma: Seasonal moving average coefficients. Default is NULL.
• D: Order of seasonal differencing. Default value is 0.
• period: Seasonal period. Default value is 12.
• ini: Length of ‘burn-in’ period. Default value is 200.
• df: If df $\geq 50$ random generation for the Normal distribution, if df $< 50$ random generation for the t distribution with df degrees of freedom. Default value is 50.

Returns

A time series vector.

Examples

x <- sim.urarima()